Lock down ensures that open apps that are running are closed out also, not just a screen lock that turns the display off. I hope this helps in some way!
Aside from the screen shot of the explanation, lockdown mode should be used when going through airport security (use paper boarding passes and physical ID), as you cannot be compelled without a warrant to unlock your phone with a password, but you can be compelled to use your biometrics to unlock the phone. Even if you have nothing to hide, law enforcement (or quasi law enforcement) should not have access to your device on a whim. When in lockdown mode, the only way to access your device would be to input the password or pin - biometrics won't work. You do not have to use this feature, it's just there to make it easier to activate.
